Research Discussion Paper – RDP 8603 Risk Premia, Market Efficiency and the Exchange Rate: Some Evidence Since the Float
May 1986
- Abstract
- Download the Paper 662KB
Contents
- Introduction
- Joint Tests of Risk Neutrality and Market Efficiency
- Econometric Methodology
- Data and Results
- Conclusion
- Data Construction Appendix
- Bibiliography
Endnote
I am grateful to Rob Trevor for his advice on this paper. The views expressed herein are solely those of the author and are not necessarily shared by the Reserve Bank of Australia. [*]